"> (Answered) Exhibit T19.1 Return statistics Annual returns Correlations Mean Mean Std dev SI(W) Beta(W) CA CH GE IN JA UK US Canada (CA) 11.0% 28.340 1.11 China... - Tutorials Prime

## (Answered) Exhibit T19.1 Return statistics Annual returns Correlations Mean Mean Std dev SI(W) Beta(W) CA CH GE IN JA UK US Canada (CA) 11.0% 28.340 1.11 China...

Exhibit T19.1 Return statistics Annual returns Correlations Mean Mean Std dev SI(W) Beta(W) CA CH GE IN JA UK US Canada (CA) 11.0% 28.340 1.11 China...

1.Â Â Based on Exhibit T19.1, what is the standard deviation of an equal-weighted portfolio of Canadian and German equities?*Â Â Â Â Â e.Â Â 27.8%2.Â Â Based on Exhibit T19.1, what is the Sharpe index of an equal-weighted portfolio of Canadian and German equities? *Â Â Â Â Â e.Â Â 0.3083.Â Â Based on Exhibit T19.1, what is the standard deviation of an equal-weighted portfolio of Indian and Chinese equities?*Â Â Â Â Â e.Â Â 40.1%4.Â Â Based on Exhibit T19.1, what is the Sharpe index of an equal-weighted portfolio of Indian and Chinese equities? *Â Â Â Â Â e.Â Â 0.4685.Â Â Based on Exhibit T19.1, what is the standard deviation of an equal-weighted portfolio of U.S. treasuries and U.S. equities?*Â Â Â Â Â a.Â Â  9.8%Exhibit T19.1 Return statistics

Annual returns

Correlations

Mean

Mean

Std dev

SI(W) Beta(W)

CA

CH

GE

IN

JA

UK

US

11.0%

28.1%

0.340

1.11

China (CH)

18.0%

42.1%

0.390

1.18

0.72

Germany (GE)

9.1%

31.1%

0.240

1.47

0.76

0.65

India (IN)

22.5%

45.6%

0.460

1.29

0.70

0.67

0.64

Japan (JA)

3.5%

20.0%

0.100

0.70

0.60

0.51

0.56

0.56

U.K. (UK)

7.2%

23.5%

0.240

1.00

0.82

0.66

0.87

0.63

0.61

U.S. (US)

6.6%

19.6%

0.260

0.93

0.81

0.63

0.88

0.62

0.57

0.85

U.S. treasuries

1.5%

1.7%

0.000

0.00

0.05

0.14

0.04

0.08

0.00

0.03

-0.05

Source: Annual USD net returns to Morgan Stanley Capital International (msci.com) indices. Sharpe

Indices (Î¼

i

â€“ Î¼

F

)/Ïƒ

i

are based on annual returns and Treasury yields from the U.S. Federal Reserve

(federalreserve.gov). Betas and correlations are based on monthly returns.

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This question was answered on: Jan 02, 2020

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